Social anxiety disorder (SAD) frequently co-occurs with substance use disorders (SUDs). Although the efficacy of separate cognitive behavioral treatments for each disorder has been widely documented, there is a dearth of studies investigating treatment outcome for patients with co-existing SAD and SUDs. This paper presents preliminary data from a pilot study that investigated whether cognitive behavioral group therapy—modified to explicitly address the link between social anxiety and substance use—could lead to reductions in social anxiety-related symptoms and improvements in affect and unrealistic alcohol expectancies in a sample of 59 patients diagnosed with co-existing SAD and SUDs. Results indicated significant reductions across treatment in social anxiety-related symptoms and negative affect, whereas no changes in positive affect or unrealistic alcohol expectancies were found. The results warrant a randomized controlled trial to explore the specificity of these effects.